[Statlist] Research Seminar in Statistics *FRIDAY 20 APRIL 2018* GSEM, University of Geneva

[gsem-support-instituts]

Dear All,

We are pleased to invite you to our next Research Seminar.

Looking forward to seeing you

Organizers :                                                                                   
E. Cantoni - S. Engelke - D. La Vecchia - E. Ronchetti
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

FRIDAY 20 APRIL 2018 at 11:15am, Uni-Mail M 5220

Discretization error for the supremum of a Lévy process
Jevgenijs IVANOVS - Aarhus University, Denmark

ABSTRACT:
Lévy processes are used extensively in financial mathematics and insurance risk. In particular, the supremum of a Lévy process presents some major interest; think of pricing barrier options, calculating exceedance or ruin probabilities, and so forth. There are, however, few examples where the law of the supremum is available in explicit form, and an obvious way to evaluate this law is to perform Monte Carlo simulation by sampling the Lévy process on an equidistant grid. In this talk I will present limit theory for the corresponding discretization error, which is based on the zooming-in concept and an invariance principle. Additionally, I will discuss connections to high-frequency statistics and provide some further applications.


Visit the website: https://www.unige.ch/gsem/en/research/seminars/rcs/